文章基本信息

标题：No arbitrage and a linear portfolio selection model
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作者：Renato Bruni ; Francesco Cesarone ; Andrea Scozzari 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2013
卷号：33
期号：2
页码：1247-1258
出版社：Economics Bulletin
摘要：We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage conditions to the existence of a feasible portfolio for our model that strictly outperforms the index. Empirical analyses on publicly available real-world financial datasets show the effectiveness of the model and confirm the described theoretical results.
关键词：Enhanced Index Tracking; Asset Management; Portfolio Selection; No Arbitrage; Linear Programming